章节8衍生证券分析

CFA一级培训项目Derivative

InvestmentsTopic

Weightings

in

CFA

Level

ISession

NO.ContentWeightingsStudy

Session

1Ethics

&

Professional

Standards15Study

Session

2-3tative

ysis12Study

Session

4-6Economics10Study

Session

7-10Financial

Reporting

and

ysis20Study

Session

11Corporate

Finance7Study

Session

12Portfolio

Management7Study

Session

13-14Equity

Investment10Study

Session

15-16Fixed

e10Study

Session

17Derivatives5Study

Session

18Alternative

Investments42-108Derivative框架结构Derivative概念

(R58)OptionForwardFuturesSwapDerivative定价与估值（R59）无定价法则Forward、Futures

&Swap二叉树定价法则OptionRisk

Management（R60）3-1084-108FrameworkR58：Derivative

markets

and

instruments基本概念Derivative的定义四大类衍生产品介绍衍生产品分类Exchange-traded

&

Over-the-counter的区别Forward

commitment&

Contingent

claim的区别Derivatives

underlyingsDerivatives的优缺点Risk

free

arbitrage四大类产品ForwardFuturesSwapOptionDerivative

Markets

and

InstrumentsDefinition:

A

derivative

is

afinancial

instrument

(contract)

that

derives

itsperformance

from

the

performance

of

an

underlying

asset.Buy

or

Sell

Something:Buy

or

Sell

nowBuy

or

Sell

sometime

in

the

future.Example：3个月后→3￥/瓶价格→买果汁；3个月后→15￥/股价格→买

；3个月后→4%利息→借￥1million；3个月后→：合约Y/USD→换CNY.规避风险Hedge

vs.

赚钱Speculate合约收益取决于约定的资产价格变化5-108Derivative

Markets

and

InstrumentsForward

contract:A

forward

contract

is

an

private

agreement

that

obligates

one

party

to

buyand

the

other

party

to

sell

a

specific ty

of

an

underlying

asset,

at

a

set

price,

at

a

future

date约定未来特定时间以约定价格

标的物的合约.If

the

future

price

of

the

underlying

assets

increase,

the

buyer

has

a

gain,and

the

seller

has

a

loss.Forward

contractFutures

contractSwap

contractOption

contract6-108Derivative

Markets

and

InstrumentsA

Futures

contract

is

a

forward

contract

that

is

standardized

and

exchange-

traded.A

forward

contractAre

regulatedBacked

by

a

clearinghouseRequire

a

daily

settlement

of

gains

and

losses.Forward

contractFutures

contractSwap

contractOption

contract7-108Derivative

Markets

and

InstrumentsA

Swap

contract

is

a

series

of

forward

contracts

.Exchange

cash

flows

on

period

settlement

datesDefault

riskForward

contractFutures

contractSwap

contractOption

contract8-108Derivative

Markets

and

InstrumentsAn

option

contract:The

owner

has

the

right,

but

not

the

obligation

to

conduct

a

transaction四种contract中只有option权利义务不对等要交

费Forward

contractFutures

contractSwap

contractOption

contract9-108Derivative

Markets

and

InstrumentsAn

option

to

sell

an

asset

at

a

particular

price

is

termed

a

put

optionBuyer

of

a

c tobuySeller

of

a

call

Obligation

to

sellBasic

characteristics

of

optionsAn

option

to

buy

an

asset

at

a

particular

price

is

termed

a

call

optionBuyer

of

a

putRight

to

sellSeller

of

a

putObligation

to

buyForward

contractFutures

contractSwap

contractOption

contract10-10811-108Derivative

Markets

and

Instruments衍生品分类方法根据合约特点分类：Forward

commitment

&

Contingent

claimForward

commitment:

is

an

agreement

between

two

parties

in

whichone

party,

the

buyer,

agrees

to

buy

from

the

other

party,

the

seller,

anunderlying

asset

at

a

future

date

at

a

price

established

at

the

start

→

forward,

futures

and

swap

contractsContingent

claim:

is

derivative

in

which

the

payoffs

occur

if

a

specificevent

happens

→

option

contractsDerivative

Markets

and

InstrumentsExchange-tradedOver-the-counterStandardized→

LiquidCustomized/Specific

needsBacked

by

a

clearinghouseTrade

with

counterparty(default

risk)Trade

in

the

a

physical

exchangenot

trade

in

organized

marketsRegulatedUnregulated衍生品分类方法根据交易场所分类：Exchange-traded

&

Over-the-countertradedExchange-traded：在一个固定的交易所交易。多空双方不直接见面，与

所交易（A→

Clearinghouse

→

B）OTC

traded：没有固定交易场所，多空双方直接交易（A→B）两种交易区别：12-10813-108Derivative

Markets

and

Instruments主要术语：Forward

commitmentLong：指买标的物Short：指卖标的物Contingent

claimLong：指获得一个权利Short：指卖出一个权利Call：指买入标的物的权利Put：指卖出标的物的权利Derivative

Markets

and

Instruments衍生品分类方法根据合约特点分类Forward

commitmentforwardfuturesswapOver-the-counter

tradedforwardswapoptionoptionContingent

claimCDSfuturesExchange-tradedoption根据交易场所分类14-108ExampleWhich

of

the

following

is

the

best

example

of

a

derivative'?A

global

equity

mutual

fundA

non-callable ernment

bondA

contract

to

purchase

Apple

Computer

at

a

fixed

priceCorrect

answer:

CWhich

of

the

following

statements

about

derivatives

is

not

true?They

are

created

in

the

spot

market.They

are

used

in

the

practice

of

risk

management.They

take

their

values

from

the

value

of

something

else.Correct

answer:

A15-10816-108ExampleThe

buyer

of

a

call

option

has

the:right

to

buy

the

underlying

asset

in

the

future

under

certain

conditionsobligation

to

sell

the

underlying

asset

in

the

future

under

certain

conditionsright

to

sell

the

underlying

asset

in

the

future

under

certain

conditionsCorrect

answer:

AA

private

agreement

between

two

parties

to

exchange

a

series

of

future

cashflows

with

at

least

one

of

the

two

series

of

cash

flows

determined

by

a

latere,

is

best

characterized

as

a(n):SwapFutures

contractExchange-traded

contingent

claimCorrect

answer:

A17-108Derivative

Markets

and

InstrumentsAdvantage:Price

discoveryRisk

management:

hedge

and

speculationLowering

transaction

costsLow

capital

requirementGreater

liquidityEase

of

going

shortEnhance

market

efficiencyDisadvantage:Too

risky

→

High

leverageComplex

instrumentsSometimes

likened

to

gambling考点：Always

increase

risk?

→No.Derivative

Markets

and

InstrumentsRisk-free

arbitrage

and

no-arbitrage

rule:Arbitrage

involves

earnin er

the

risk-free

rate

with

no

risk

or

earning

animmediate

gain

with

no

future

liabilitiesArbitrage

opportunities:

arbitrage

occurs

when

equivalent

assets

orcombinations

of

assets

sell

for

two

different

pricesLaw

of

one

price:

two

securities

or

portfolios

that

have

identical

cash

flowsin

the

future,

regardless

of

future

events,

should

have

the

same

price18-10819-108Derivative

Markets

and

InstrumentsRisk-free

arbitrage

and

no-arbitrage

rule

(Cont.):The

way

of

arbitrage:

sell

high,

buy

lowIf

a

portfolio

consisting

of

A

and

B

has

a

certain

payoff,

the

portfolio

shouldyield

the

risk-free

riskThe

role

of

arbitrage

is

to

eliminate

mispricing

and

lead

to

the

marketefficiency.

That

is

why

arbitrage

also

plays

a

role

in

pricing.20-108Derivative

Markets

and

InstrumentsArbitrage

pricing

restrictions：restrict

sell

short

systemlimit

the

amount

of

arbitragetransaction

cost21-108ExampleWhether

these

two

rules

below

can

restrict

the

price

discover

function

of

themarket?Restrict

sell

short

systemyesyesnolimit

the

amount

of

arbitrageyesnoyesCorrect

answer:

ASell

short和arbitrage可以促进市场有效定价，加以限制将影响市场功能.22-108FrameworkR58：Derivative

markets

and

instruments基本概念Derivative的定义四大类衍生产品介绍衍生产品分类Exchange-traded

&

Over-the-counter的区别Forward

commitment

&

Contingent

claim的区别Derivatives

underlyingsDerivatives的优缺点Risk

freearbitrage四大类产品ForwardFuturesSwapOptionDerivative

Markets

and

Instruments—ForwardDefinition:

A

forward

contract

is

a

bilateral

contract

that

obligates

one

party

tobuy

and

the

other

party

to

sell

a

specific ty

of

an

underlying

asset,

at

a

setprice,

on

a

specific

date

in

the

futureLong

and

short

forward

positionLong:

buy

underlyingShort:

sell

underlyingNo

payments

will

be

made

at

the

inception

of

a

forward

contract.

So

bothparties

of

a

forward

contract

is

exposed

to

potential

default

risk23-10824-108Derivative

Markets

and

Instruments—ForwardForward

contracts分类：Commodity

forward

contract：商品远期合约Financial

forward

contract

：金融远期合约Purposes

of

trading

forward

contracts：Hedge

risk：套期保值，锁定未来交易成本，但不保证一定比不实施套期保值赚钱。存在default

risk。Speculation：投机，赌未来价格的变化方向。Characteristics

of

Forward

contracts

：Each

party

are

exposed

to

default

risk

(

or

counterparty

risk).Zero-sum

game.Derivative

Markets

and

Instruments—Forward成本，多用于商品Settling

a

forward

contract

at

expirationPhysical

settlement:deliver

an

actual

asset，存在远期Cash

settlement:

the

party

that

has

a

position

with

negative

value

isobligated

to

pay

that

amount

to

the

other

party，多用在金融远期Settling

a

forward

contract

prior

to

expirationEntering

into

an

opposite

forward

contract:

with

an

expiration

date

equalto

the

time

remaining

on

the

original

contractOffsetting

with

a

different

party:

some

credit

risk

remainsOffsetting

with

the

original

party:

can

avoid

credit

risk25-10826-108ExampleWhich

is

the

most

common

way

to

terminate

a

forward

contract

prior

toexpiration?Cash

settlementEnter

into

an

opposite

contractDelivers

the

actual

instrumentsCorrect

answer:

BHow

to

eliminate

the

risk

on

a

forward

contract:enter

a

opposite

trade

with

same

counterparty

at

same

priceenter

a

opposite

trade

with

different

counterparty

for

any

priceenter

a

opposite

trade

with

same

counterparty

for

any

priceCorrect

answer:

A27-108Derivative

Markets

and

Instruments—ForwardLIBOR,

Euribor,

and

FRAsEurodollar

time

deposit.London

Interbank

Offer

Rate

(LIBOR).USD

interest

rates.Quoted

as

an

annualized

rates

based

on

a

360-day

a

yearAdd-on

rateSingle

interestEuribor

is

a

similar

rate

for

borrowing

and

lending

in

EurosA

forward

rate

agreement

(FRA)

is

a

forward

contract

on

an

interest

rate(LIBOR)Derivative

Markets

and

Instruments—ForwardLIBOR,

Euribor,

and

FRAs（续）FRA定义：An

FRA

can

be

viewed

as

a

forward

contract

to

borrow/lendmoney ertain

rate

at

some

future

date.The

long

position:

is

the

party

that

would

borrow

the

moneyThe

short

position:

is

the

party

that

would

lend

the

moneyFRA期限.常见期限：30、60、90、120天LiborOff-the-run

FRA：非标准周期如45天Libornow90settlement

orexpiration270报价：Example

3×9FRA90-day

FRA180-day

LIBOR28-108Derivative

Markets

and

Instruments—Forwardnow90270LIBOR,

Euribor,

and

FRAs（续）Real

FRA=Long

90-day

FRA

on

180-day

LIBORnow90270Synthetic

FRALong

270-day

Eurodollarnow90270Short

90-dayEurodollar=Synthetic

long

90-day

FRAon

180-day

LIBOR29-108Derivative

Markets

and

Instruments—ForwardLIBOR,

Euribor,

and

FRAs（续）交割：settle

in

cash,but

no

actual

loan

is

made

at

the

settlement

datePayoff定性分析：If

the

reference

rate

at

the

expiration

date

is

above

the

specifiedcontract

rate,

the

long

will

receive

cash

payment

from

the

short;If

the

reference

rate

at

the

expiration

date

is

below

the

contract

rate,the

short

will

receive

cash

payment

from

the

longPayoff定量分析floating

rate

at

settlement

forward

rate

days

360

notional

principal

1+floating

rate

at

settlement

days

360

30-10831-108ExampleWhich

of

the

following

best

describes

the

forward

rate

of

an

FRA?The

spot

rate

implied

by

the

term

structureThe

forward

rate

implied

by

the

term

structureThe

rate

on

a

zero-coupon

bond

of

maturity

equal

to

that

of

the

for-wardcontractCorrect

answer:

BThe

underlying

asset

of

FRA

isBondStockInterest

rateCorrect

answer:

CDerivative

Markets

and

Instruments—Futures定义：A

futures

contract

is

an

agreement

that

obligates

one

party

to

buy

and

theother

party

to

sell

a

specifica

future

date.与forwardcontract相似点:ty

of

an

underlying

asset,

at

a

set

price,

atCan

be

either

deliverable

or

cash

settlement

contracts;Deliverable

contracts

obligate

the

long

to

buy

and

the

short

to

sell

acertain ty

of

an

asset

for

a

certain

price

on

a

specified

future

date.Cash

settlement

contracts

are

settled

by

paying

the

contract

value

in

cashon

the

expiration

date.Are

priced

to

have

zero

value

at

the

time

an

investor

enters

into

the

contract.32-10833-108与forward区别:Derivative

Markets

and

Instruments—FuturesForwardsFuturesPrivate

contractsExchange-tradedUnique

customized

contractsStandardized

contractsLittle

or

no

regulationRegulatedDefault

risk

is

presentGuaranteed

by

clearinghouseSettlement

at

maturityDaily

settlement

(mark

to

market)No

margin

deposit

requiredMargin

required

and

adjustedDerivative

Markets

and

Instruments—FuturesStandardization：Futures

contracts

specify

the

quality

and ty

of

goods

that

can

bedelivered,

the

delivery

time

and

the

manner

of

delivery.clearinghouseEach

exchange

has

a

clearing

house

that

guarantees

that

traders

in

thefutures

market

will

honor

their

obligations.A

clearinghouse

acts

as

the

counterparty

to

each

participant.

Theclearinghouse

is

the

buyer

to

every

seller

and

the

seller

to

every

buyer.There

is

no

need

to

worry

about

the

counterparty

default

risk.Clearinghouse

allows

eitherside

ofthe

trade

to

reversepositions

at

a

futuredate.34-10835-108Derivative

Markets

and

Instruments—FuturesFutures

contract风险控制方法Margin;Daily

Price

Limit;Marking

to

market.Derivative

Markets

and

Instruments—FuturesFutures

contract风险控制方法方法一：Margin:Initial

margin:

The

deposit

is

called

the

initial

margin.

Initialmargin

must

be

posted

before

any

trading

takes

place;Maintenance

margin:

If

the

margin

balance

in

the

trader's

accountfalls

below

the

maintenance

margin,

the

trader

will

get

a

margin

callVariation

margin:

used

to

bring

the

margin

balance

back

up

to

theinitial

margin

level.36-10837-108Derivative

Markets

and

Instruments—FuturesDayBeginningbalanceFundsdepositedFuturespricePricechangeGain/LossEndingBalance001008210011000842401402140078-6-120203208073-5-10004010079612022052200823602806280084240320例题Initial

margin=$5/contract,

maintenance

margin=$2/contract,

long

20

contractDerivative

Markets

and

Instruments—Futuresmarginmargin目的做抵押减少违约风险借钱给你买

，举杠杆现金流方向现金流出现金流入支付利息不用支付利息相当于

给你，要付利息补交margin数额回到initial

margin回到maintenance

marginFutures

contract风险控制方法（续）Margin

（续）

:与

市场Margin的比较38-10839-108Example“Margin”

in

the

stock

market“Margin”

in

the

future

marketANoNoBNoYesCYesNo1.

Do

“margin”

in

the

stock

market

and

“margin”

in

the

futures

market,respectively,

mean

that

an

investor

has

received

a

loan

that

reduces

the

amountof

his

own

money

required

to

complete

the

transaction?Correct

answer:

CA

futures

trader

must

keep

the

money

in

the

margin

account

above

the:initial

margin

requirementvariation

margin

requirementmaintenance

margin

requirementCorrect

answer:

CDerivative

Markets

and

Instruments—FuturesFutures

contract风险控制方法（续）方法二：Daily

Price

Limit涨机制:Price

limits

are

exchanged-imposed

limits

on

how

much

the

contractprice

can

change

from

the

previous

day’s

settlement

price;Limit

move:

If

traders

wish

to

trade

at

prices

outsidethese

limit---notrades

will

take

place.---the

settlement

price

will

be

reported

upper

orlower

price

limitsLocked

limit:

if

trades

cannot

take

place

because

of

a

limit

move,

eitherup

or

down,

the

price

is

said

to

be

locked

limit,

since

no

trades

can

takeplace

and

traders

are

“locked”

into

their

existing

positions.40-108Derivative

Markets

and

Instruments—FuturesFutures

contract风险控制方法（续）方法三：Marking

to

market：The

margin

requirement

of

a

futures

contractis

low

because

at of

every

day

there

is

a

daily

settlement

processcalled

marking

to

market41-10842-108ExampleWhich

of

the

following

statements

about

futures

contracts

is

FALSE?The

futures

clearinghouse

allows

traders

to

reverse

their

positions

withouthaving

to

contract

the

other

side

of

the

initial

trade.To

safeguard

the

clearinghouse,

the

exchange

requires

traders

to

postmargin

and

settle

their

accounts

on

a

weekly

basis.Offsetting

trades

rather

than

exchanges

for

physicals

are

used

to

close

mostfutures

contracts.Correct

answer:

BWhich

of

the'

following

occurs

in

the

daily

settlement

of

futures

contracts?Initial

margin

deposits

are

refunded

to

the

two

parties.Gains

and

losses

are

reported

to

other

market

participants.Losses

are

charged

to

one

party

and

gains

credited

to

the

other.Correct

answer:

B43-108Derivative

Markets

and

Instruments—SwapCharacteristics

of

Swap

ContractsSwap

contract

:

A

swap

contract

obligates

two

parties

to

change

a

series

of

cash

flows

on

periodic

settlement

dates

over

a

certain

time

period.与Forward相似点:No

payment

required

by

either

party

at

initiation

except

the

principalvalues

exchanged

in

currency

swaps.Custom

instruments.Not

traded

in

any

organized

secondary

market.Largely

unregulated.Default

risk

is

a

critical

aspect

of

the

contracts.Institutions

dominate44-108Derivative

Markets

and

Instruments—SwapThree

types

of

swap

contracts-

Interest

Rate

SwapsThe

plain

vanilla

interest

rate

swap

involves

trading

fixed

interest

ratepayments

for

floating-rate

payment

(

paying

fixed

and

receiving

floating

).Counterparties:

The

parties

involved

in

any

swap

agreement

arecalled

the

counterpartiesPay-fixed

side:

The

counterparty

that

wants

variable-rate

interestagrees

to

pay

fixed-rate

interest.Pay-floating

side:

The

counterparty

that

receives

the

fixed

paymentand

agrees

to

pay

variable-rate

interest

.Derivative

Markets

and

Instruments—SwapThree

types

of

swap

contracts-

Interest

Rate

SwapsThe

Comparative

Advantage

ArgumentAAA

Corp:

wants

to

borrow

floatingBBB

Corp:

wants

to

borrow

fixed.AAA

Corp：LIBOR，节省0.3%BBB

Corp：11%，节省0.2%FixedFloatingAAA

Corp10.00%6-monthLIBOR

+

0.30%BBB

Corp11.20%6-monthLIBOR

+

1.00%AAA

CorpBBB

Corp10%LIBOR10%45-108LIBOR+1%Derivative

Markets

and

Instruments—OptionBasic

ConceptsOption定义：An

option

gives

its

owner

the

right,

but

not

the

obligation,

tobuy

or

sell

an

underlying

asset

on

or

before

a

future

date

(the

expirationdate)

at

a

predetermined

price

(the

exercise

price

or

strike

price)Call

option：Long

call

&

Short

callPut

option：Long

put

&

short

putThe

seller

or

short

position

in

an

options

contract

is

sometimesreferred

to

as

the

writer

of

the

option价格：价格：option

premium

paid

by

the

buyer

of

option;执行价格：Strike

price(X)

represents

the

exercise

price

specified

inthe

contract.46-108Derivative

Markets

and

Instruments—OptionCredit

default

swaps

(CDS)

is

essentially

an

insurance

contract

for

the

reference,thereference

obligation

is

thefixed esecurity

on

whichthe

swapiswritten-usually

a

bond

but

potentially

also

a

loan.Protection

buyer

receives

apayment

from

the

protectionseller

ifdefaultoccurs

onthereference

entity.The

protection

buyer

pays

the

seller

apremium.

The

default

swap

premium

is

alsoreferred

to

as

the

CDS

spread.Credit

spread

option:a

call

option

that

is

based

on

abond’s

yield

spread

relative

to

aben

ark.If

the

bond’s

credit

quality

decreases,

its

yield

spread

will

increaseThe

bondholder

will

collect

a

payoff

ontheoption.Credit-linked

note：Thecredit

protection

buyer

holds

abond

or

loan

that

is

subject

todefault

risk(the

underlying

reference

security)

andissues

its

own

security

(thecredit-linked

note)if

the

bond

or

loan

it

holdsdefaults,

the

principal

payoff

on

thecredit-linked

note

isreducedaccordingly.47-108Derivative

Markets

and

Instruments—OptionMoneynessCall

optionPutOptionIn-the-moneyS＞XS＜XAt-the-moneyS

=

XS

=

XOut-the-moneyS＜XS＞XMoneyness（价值状态）:定性看long是否赚钱Moneyness：In

the

money:

Immediate

exercise

would

generate

a

positive

payoffAt

the

money

:

Immediate

exercise

would

generate

no

payoffOut

of

the

money

:

Immediate

exercise

would

generate

no

payoffThe

following

table

summarizes

the

moneyness

of

options

based

on

thestock's

current

price,

S,

and

the

option's

exercise

strike

price,

X.48-108Derivative

Markets

and

Instruments—OptionSTSTKPayoffPayoff

PayoffKPayoffPayoffSTSTKK49-108Derivative

Markets

and

Instruments—OptionGain/LossProfitProfitSTSTXXProfitProfitSTSTXX50-108Derivative

Markets

and

Instruments—OptionIntrinsic

Value（内在价值）

:定量看long赚Intrinsic

Value:

the

amount

that

it

is

in

the

money,

and

zero

otherwiseIntrinsic

value

of

call

option:

C=max[0,

S-X]Intrinsic

value

of

put

option:

P=max[0,

X-S]Time

Value:The

difference

between

the

price

of

an

option

(called

its

premium)and

its

intrinsic

value

is

due

to

its

time

valueOption

value=intrinsic

value

+

time

value到期日之前：option

value>intrinsic

value到期日：option

value=intrinsic

valuePrice

of

the

option

is

more

volatile

than

prices

of

underlying

stock51-10852-108ExampleAn

investor

purchases

an

equity

call

option

priced

at

CHF3

with

anexercise

price

of

CHF41.

If

at

expiration

of

the

option,

the

underlying

ispriced

at

CHF38,

the

profit

for

the

investor's

position

is

closest

to:–CHF6.CHF0.–CHF3.Correct

Answer:

CThe

option

expires

worthless,

and

the

loss

is

equal

to

the

premiumpaid.ExampleWhich

of

the

following

statements

about

call

options

at

expiration

is

TRUE?The

profit

potential

to

the

buyer

of

the

option

is

unlimited.The

call

buyer's um

loss

is

the

call

option's

premium.All

of

the

answers

are

correct.Correct

answer:

CWhich

of

the

below

positions

is

the

most

risky,

in

the

sense

of

having

thelargest

potential

losses?A

long

position

in

call

options.A

short

position

in

put

options.A

short

(written)

position

in

call

options.Correct

answer:

C53-10854-108Example3.

Consider

a

put

option

on

Deter,

Inc.,

with

an

exercise

price

of

$45.

The

currentstock

price

of

Deter

is

$52.

What

is

the

intrinsic

value

of

the

put

option,

and

isthe

put

option

at-the-money

or

out-of-the-money?Intrinsic

Value$7$0$0Moneyness

At-the-moneyOut-of-the-moneyAt-the-moneyCorrect

answer:

BWhich

statement

about

option

valuation

is

FALSE?Prior

to

maturity,

out-of-the-money

options

have

no

value.The

value

of

an

option

is

its

time

value

plus

its

intrinsic

value.The

buyer

of

a

call

option

contract

can

never

lose

more

than

the

initialpremium.Correct

answer:

ADerivative

Markets

and

Instruments—Option55-108Put

call

parityPutcallparity.Positions

replicatingCondition

BCondition

CCondition